Search results for: ARCH/GARCH model

Authors: Salman Mohamadi, Seyed Mohammad Ali Tayaranian Hosseini, Hamidreza Amindavar

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In this paper, we provide a procedure to analyze and model EEG (electroencephalogram) signal as a time series using ARIMA-GARCH to predict an epileptic attack. The heteroskedasticity of EEG signal is examined through the ARCH or GARCH, (Autore- gressive conditional heteroskedasticity, Generalized autoregressive conditional heteroskedasticity) test. The best ARIMA-GARCH model in AIC sense is utilized to measure the volatility of the EEG from epileptic canine subjects, to forecast the future values of EEG. ARIMA-only model can perform prediction, but the ARCH or GARCH model acting on the residuals of ARIMA attains a con- siderable improved forecast horizon. First, we estimate the best ARIMA model, then different orders of ARCH and GARCH modelings are surveyed to determine the best heteroskedastic model of the residuals of the mentioned ARIMA. Using the simulated conditional variance of selected ARCH or GARCH model, we suggest the procedure to predict the oncoming seizures. The results indicate that GARCH modeling determines the dynamic changes of variance well before the onset of seizure. It can be inferred that the prediction capability comes from the ability of the combined ARIMA-GARCH modeling to cover the heteroskedastic nature of EEG signal changes.

Keywords: epileptic seizure prediction , ARIMA, ARCH and GARCH modeling, heteroskedasticity, EEG

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Authors: Fauzia Dianawati, Riska W. Purnomo

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Food and agricultural sector become the biggest sector contributing to inflation in Indonesia. Especially in Wonogiri district, red cayenne pepper was the biggest sector contributing to inflation on 2016. A national statistic proved that in recent five years red cayenne pepper has the highest average level of fluctuation among all commodities. Some factors, like supply chain, price disparity, production quantity, crop failure, and oil price become the possible factor causes high volatility level in red cayenne pepper price. Therefore, this research tries to find the key factor causing fluctuation on red cayenne pepper by using ARCH/GARCH method. The method could accommodate the presence of heteroscedasticity in time series data. At the end of the research, it is statistically found that the second level of supply chain becomes the biggest part contributing to inflation with 3,35 of coefficient in fluctuation forecasting model of red cayenne pepper price. This model could become a reference to the government to determine the appropriate policy in maintaining the price stability of red cayenne pepper.

Keywords: ARCH/GARCH, forecasting, red cayenne pepper, volatility, supply chain

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Authors: Zahid Ahmad, Nosheen Imran, Nauman Ali, Farah Amir

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The objective of the study is to forecast the US Dollar and Pak Rupee exchange rate by using time series models. For this purpose, daily exchange rates of US and Pakistan for the period of January 01, 2007 - June 2, 2017, are employed. The data set is divided into in sample and out of sample data set where in-sample data are used to estimate as well as forecast the models, whereas out-of-sample data set is exercised to forecast the exchange rate. The ADF test and PP test are used to make the time series stationary. To forecast the exchange rate ARIMA model and GARCH model are applied. Among the different Autoregressive Integrated Moving Average (ARIMA) models best model is selected on the basis of selection criteria. Due to the volatility clustering and ARCH effect the GARCH (1, 1) is also applied. Results of analysis showed that ARIMA (0, 1, 1 ) and GARCH (1, 1) are the most suitable models to forecast the future exchange rate. Further the GARCH (1,1) model provided the volatility with non-constant conditional variance in the exchange rate with good forecasting performance. This study is very useful for researchers, policymakers, and businesses for making decisions through accurate and timely forecasting of the exchange rate and helps them in devising their policies.

Keywords: exchange rate, ARIMA, GARCH, PAK/USD

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Authors: Nop Sopipan

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In this paper, we forecast the volatility of Baht/USDs using Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out whether MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecasting Baht/USD volatility. The MRS-GARCH is the best performance model for Baht/USD volatility in short term but the GARCH model is best perform for long term.

Keywords: volatility, Markov Regime Switching, forecasting, Baht/USD

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Authors: Sayed Kifayat Shah, Tang Zhongjun, Arfa Tanveer

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This study explores the significant heatwave effect on stock return and volatility. Using an ARCH/GARCH approach, it examines the relationship between the heatwave of Karachi, Islamabad, and Lahore on the KSE-100 index. It also explores the impact of heatwave on returns of the pharmaceutical and electronics industries. The empirical results confirm that that stock return is positively related to the heat waves of Karachi, negatively related to that of Islamabad, and is not affected by the heatwave of Lahore. Similarly, pharmaceutical and electronics indices are also positively related to heatwaves. These differences in results can be ascribed to the change in the behavior of the residents of that city. The outcomes are useful for understanding an investor's behavior reacting to weather and fluxes in stock price related to heatwave severity levels. The results can support investors in fixing biases in behavior.

Keywords: ARCH/GARCH model, heat wave, KSE-100 index, stock market return

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Authors: Tauhidur Rahman, Arnab Kumar Sinha

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This paper presents a comparative study of Arch bridges based on their varying rise to span ratio. The comparison is done between different steel Arch bridges which have variable span length and rise to span ratio keeping the same support condition. The aim of our present study is to select the optimum value of rise to span ratio of Arch bridge as the cost of the Arch bridge increases with the increasing of the rise. In order to fulfill the objective, several rise to span ratio have been considered for same span of Arch bridge and various structural parameters such as Bending moment, shear force etc have been calculated for different model. A comparative study has been done for several Arch bridges finally to select the optimum rise to span ratio of the Arch bridges. In the present study, Finite Element model for medium to long span, with different rise to span ratio have been modeled and are analyzed with the help of a Computational Software named MIDAS Civil to evaluate the results such as Bending moments, Shear force, displacements, Stresses, influence line diagrams, critical loads. In the present study, 60 models of Arch bridges for 80 to 120 m span with different rise to span ratio has been thoroughly investigated.

Keywords: arch bridge, analysis, comparative study, rise to span ratio

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Authors: Josip Arneric, Blanka Skrabic Peric

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Forecasting of volatility, i.e. returns fluctuations, has been a topic of interest to portfolio managers, option traders and market makers in order to get higher profits or less risky positions. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most common used models are GARCH type models. As standard GARCH models show high volatility persistence, i.e. integrated behaviour of the conditional variance, it is difficult the predict volatility using standard GARCH models. Due to practical limitations of these models different approaches have been proposed in the literature, based on Markov switching models. In such situations models in which the parameters are allowed to change over time are more appropriate because they allow some part of the model to depend on the state of the economy. The empirical analysis demonstrates that Markov switching GARCH model resolves the problem of excessive persistence and outperforms uni-regime GARCH models in forecasting volatility for selected emerging markets.

Keywords: emerging markets, Markov switching, GARCH model, transition probabilities

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Authors: Longqing Li

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The paper addresses the inefficiency of the classical model in measuring the Value-at-Risk (VaR) using a normal distribution or a Student’s t distribution. Specifically, the paper focuses on the one day ahead Value-at-Risk (VaR) of major stock market’s daily returns in US, UK, China and Hong Kong in the most recent ten years under 95% confidence level. To improve the predictable power and search for the best performing model, the paper proposes using two leading alternatives, Extreme Value Theory (EVT) and a family of GARCH models, and compares the relative performance. The main contribution could be summarized in two aspects. First, the paper extends the GARCH family model by incorporating EGARCH and TGARCH to shed light on the difference between each in estimating one day ahead Value-at-Risk (VaR). Second, to account for the non-normality in the distribution of financial markets, the paper applies Generalized Error Distribution (GED), instead of the normal distribution, to govern the innovation term. A dynamic back-testing procedure is employed to assess the performance of each model, a family of GARCH and the conditional EVT. The conclusion is that Exponential GARCH yields the best estimate in out-of-sample one day ahead Value-at-Risk (VaR) forecasting. Moreover, the discrepancy of performance between the GARCH and the conditional EVT is indistinguishable.

Keywords: Value-at-Risk, Extreme Value Theory, conditional EVT, backtesting

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Authors: Sibel Celik, Hüseyin Ergin

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The paper aims to find the best volatility forecasting model for stock markets in Turkey. For this purpose, we compare performance of different volatility models-both traditional GARCH model and high frequency based volatility models- and conclude that both in pre-crisis and crisis period, the performance of high frequency based volatility models are better than traditional GARCH model. The findings of paper are important for policy makers, financial institutions and investors.

Keywords: volatility, GARCH model, realized volatility, high frequency data

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Authors: Josip Visković, Josip Arnerić, Ante Rozga

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Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most successful and popular models in modelling time varying volatility are GARCH type models. When financial returns exhibit sudden jumps that are due to structural breaks, standard GARCH models show high volatility persistence, i.e. integrated behaviour of the conditional variance. In such situations models in which the parameters are allowed to change over time are more appropriate. This paper compares different GARCH models in terms of their ability to describe structural changes in returns caused by financial crisis at stock markets of six selected central and east European countries. The empirical analysis demonstrates that Markov regime switching GARCH model resolves the problem of excessive persistence and outperforms uni-regime GARCH models in forecasting volatility when sudden switching occurs in response to financial crisis.

Keywords: central and east European countries, financial crisis, Markov switching GARCH model, transition probabilities

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Authors: Gultekin Gurcay

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In this paper, effects and responses of stock were analyzed. This analysis was done periodically. The dimensions of the financial crisis impact on the stock market were investigated by GARCH model. In this context, S&P 500 stock market is modeled with DAX, NIKKEI and BIST100. In this way, The effects of the changing in S&P 500 stock market were examined on European and Asian stock markets. Conditional variance coefficient will be calculated through garch model. The scope of the crisis period, the conditional covariance coefficient will be analyzed comparatively.

Keywords: conditional variance coefficient, financial crisis, garch model, stock market

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Authors: Souhir Ben Amor, Heni Boubaker, Lotfi Belkacem

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This aims of this paper is to forecast the electricity spot prices. First, we focus on modeling the conditional mean of the series so we adopt a generalized fractional -factor Gegenbauer process (k-factor GARMA). Secondly, the residual from the -factor GARMA model has used as a proxy for the conditional variance; these residuals were predicted using two different approaches. In the first approach, a local linear wavelet neural network model (LLWNN) has developed to predict the conditional variance using the Back Propagation learning algorithms. In the second approach, the Gegenbauer generalized autoregressive conditional heteroscedasticity process (G-GARCH) has adopted, and the parameters of the k-factor GARMA-G-GARCH model has estimated using the wavelet methodology based on the discrete wavelet packet transform (DWPT) approach. The empirical results have shown that the k-factor GARMA-G-GARCH model outperform the hybrid k-factor GARMA-LLWNN model, and find it is more appropriate for forecasts.

Keywords: electricity price, k-factor GARMA, LLWNN, G-GARCH, forecasting

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Authors: Samir K. Safi

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The purpose of this study was to compare the performance of two types of models, namely MIDAS and MIDAS-GARCH, in predicting the volatility of crude oil returns based on gold price returns and the COVID-19 pandemic. The study aimed to identify which model would provide more accurate short-term and long-term predictions and which model would perform better in handling the increased volatility caused by the pandemic. The findings of the study revealed that the MIDAS model performed better in predicting short-term and long-term volatility before the pandemic, while the MIDAS-GARCH model performed significantly better in handling the increased volatility caused by the pandemic. The study highlights the importance of selecting appropriate models to handle the complexities of real-world data and shows that the choice of model can significantly impact the accuracy of predictions. The practical implications of model selection and exploring potential methodological adjustments for future research will be highlighted and discussed.

Keywords: GARCH-MIDAS, MIDAS, crude oil, gold, COVID-19, volatility

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Authors: Muhammad Tariq, Hammad Tahir, Fawwad Mahmood Butt

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Purpose: This study attempts to examine the best forecasting methodologies in the time series. The time series forecasting models such as VAR, ARCH and the ARMA are considered for the analysis. Methodology: The Bench Marks or the parameters such as Adjusted R square, F-stats, Durban Watson, and Direction of the roots have been critically and empirically analyzed. The empirical analysis consists of time series data of Consumer Price Index and Closing Stock Price. Findings: The results show that the VAR model performed better in comparison to other models. Both the reliability and significance of VAR model is highly appreciable. In contrary to it, the ARCH model showed very poor results for forecasting. However, the results of ARMA model appeared double standards i.e. the AR roots showed that model is stationary and that of MA roots showed that the model is invertible. Therefore, the forecasting would remain doubtful if it made on the bases of ARMA model. It has been concluded that VAR model provides best forecasting results. Practical Implications: This paper provides empirical evidences for the application of time series forecasting model. This paper therefore provides the base for the application of best time series forecasting model.

Keywords: forecasting, time series, auto regression, ARCH, ARMA

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Authors: Yegnanew A. Shiferaw

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Background: commodity price volatility originating from excessive commodity price fluctuation has been a global problem especially after the recent financial crises. Volatility is a measure of risk or uncertainty in financial analysis. It plays a vital role in risk management, portfolio management, and pricing equity. Objectives: the core objective of this paper is to examine the relationship between the prices of agricultural commodities with oil price, gas price, coal price and exchange rate (USD/Rand). In addition, the paper tries to fit an appropriate model that best describes the log return price volatility and estimate Value-at-Risk and expected shortfall. Data and methods: the data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31st October 2016. The data sets consists of the daily returns of agricultural commodity prices namely: white maize, yellow maize, wheat, sunflower, soya, corn, and sorghum. The paper applies the three-state Markov-switching (MS) regression, the standard single-regime GARCH and the two regime Markov-switching GARCH (MS-GARCH) models. Results: to choose the best fit model, the log-likelihood function, Akaike information criterion (AIC), Bayesian information criterion (BIC) and deviance information criterion (DIC) are employed under three distributions for innovations. The results indicate that: (i) the price of agricultural commodities was found to be significantly associated with the price of coal, price of natural gas, price of oil and exchange rate, (ii) for all agricultural commodities except sunflower, k=3 had higher log-likelihood values and lower AIC and BIC values. Thus, the three-state MS regression model outperformed the two-state MS regression model (iii) MS-GARCH(1,1) with generalized error distribution (ged) innovation performs best for white maize and yellow maize; MS-GARCH(1,1) with student-t distribution (std) innovation performs better for sorghum; MS-gjrGARCH(1,1) with ged innovation performs better for wheat, sunflower and soya and MS-GARCH(1,1) with std innovation performs better for corn. In conclusion, this paper provided a practical guide for modelling agricultural commodity prices by MS regression and MS-GARCH processes. This paper can be good as a reference when facing modelling agricultural commodity price problems.

Keywords: commodity prices, MS-GARCH model, MS regression model, South Africa, volatility

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Authors: Sélima Baccar, Ephraim Clark

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This paper can be considered as a new perspective to analyse credit spreads. A comprehensive empirical analysis of conditional variance of credit spreads indices is performed using various GARCH models. Based on a comparison between traditional and asymmetric GARCH models with alternative functional forms of the conditional density, we intend to identify what macroeconomic and financial factors have driven daily changes in the US Dollar credit spreads in the period from January 2011 through January 2013. The results provide a strong interdependence between credit spreads and the explanatory factors related to the conditions of interest rates, the state of the stock market, the bond market liquidity and the exchange risk. The empirical findings support the use of asymmetric GARCH models. The AGARCH and GJR models outperform the traditional GARCH in credit spreads modelling. We show, also, that the leptokurtic Student-t assumption is better than the Gaussian distribution and improves the quality of the estimates, whatever the rating or maturity.

Keywords: corporate bonds, default risk, credit spreads, asymmetric garch models, student-t distribution

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Authors: Ajeevan Gautam, Gulam Anwer Khan, Pratibha Pokhrel

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Introduction: Dermatoglyphics is the science which deals with the study of dermal ridge configuration on the digits, palms and soles. It is grooved by ridges and forms variety of configurations. The aim of the study was to identify dermal ridge patterns on fingertip of hypertensive patients and in normal population and to compare patterns among them. Methods: The subjects of the study were 130 hypertensives and 130 non-hypertensives cases of Kathmandu Valley aged between 40 to 80 years. Case history was recorded after consent finger prints were taken. Different parameters as whorl, loop, arch and composite patterns were studied and analysed. Result: It revealed, increased whorl pattern in hypertensive. It showed 65.69% whorl, 29.23% loop and 5.07% arch patterns in right hand of hypertensive people. In control, it was found to be 34.46% whorl, 58.15% loop and 5.38% arch patterns respectively. Similarly in left hand 63.69% whorl, 32% loop and 4.30% arch in hypertensive group. In control group it was 60.15% as loop, 35.69% as whorl and 15% as arch. Discussion: Based on findings of the result, it was concluded that the whorl, loop and arch patterns observed as 65.69%, 29.23% and 5.07% respectively in hypertensive cases in right hand. Similarly in left hand, it was found to be 4.30% as arch, 32% as loop and 63.69% as whorl patterns, but in normotensive subjects these patterns were recorded as 36.43%, 58.15%, 5.38% in right hand and 35.69%, 60.15%, 4.15% in left hand as whorl, loop and arch respectively.

Keywords: arch, dermatoglyphics, hypertension, loop, whorl

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Authors: Hanifa Maryani Ahmad, Muslim Yusuf

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Background: Unilateral crossbite can be defined as an abnormal transverse relationship between the upper and lower teeth where the mandibular buccal cusp occluding to the maxillary buccal cusp and which involves only one side of the arch. This report describes the treatment of an adolescent female with Class III malocclussion unilateral crossbite resulting from a mildly constricted maxillary arch. The patient had a Class III skeletal relationship, Class III molar relationships, unilateral crossbite on the left side, and deviated midlines. Objectives: The treatment objectives were to correct the abnormal transverse relationship, achieve proper dental inclination, and correct the unilateral crossbites to improve the facial profile. Case management: The treatment protocol was using transpalatal arch with extension arm modification to expand the maxillary arch. Following the levelling and aligning stage of treatment, using a vertical loop while mandibular arch was expanded after getting an end to end relationship on the anterior side. Results: Corrections of the unilateral crossbite were achieved in 4 months. The treatment is still on process because the canines relationship were not corrected. Conclusions: This report highlights a treatment using transpalatal arch with extension arm modification that can be used to expand the transverse width of an arch to correct the discrepancy. Even though the treatment processes were still ongoing, the correction of the unilateral crossbite have been achieved in 4 months by only using the transpalatal arch.

Keywords: crossbite unilateral, late growing, non-extraction, transpalatal arch

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Authors: Maruf Ariyo Raheem, Patrick Oseloka Ezepue

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This research aimed at determining most appropriate heteroskedastic model to predicting volatility of 10 major Nigerian banks: Access, United Bank for Africa (UBA), Guaranty Trust, Skye, Diamond, Fidelity, Sterling, Union, ETI and Zenith banks using daily closing stock prices of each of the banks from 2004 to 2014. The models employed include ARCH (1), GARCH (1, 1), EGARCH (1, 1) and TARCH (1, 1). The results show that all the banks returns are highly leptokurtic, significantly skewed and thus non-normal across the four periods except for Fidelity bank during financial crises; findings similar to those of other global markets. There is also strong evidence for the presence of heteroscedasticity, and that volatility persistence during crisis is higher than before the crisis across the 10 banks, with that of UBA taking the lead, about 11 times higher during the crisis. Findings further revealed that Asymmetric GARCH models became dominant especially during financial crises and post crises when the second reforms were introduced into the banking industry by the Central Bank of Nigeria (CBN). Generally, one could say that Nigerian banks returns are volatility persistent during and after the crises, and characterised by leverage effects of negative and positive shocks during these periods

Keywords: global financial crisis, leverage effect, persistence, volatility clustering

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Authors: Gee-Cheol Kim, Joo-Won Kang

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Structural characteristics of spatial structure are different from that of rahmen structures and it has many factors that are unpredictable experientially. Both horizontal and vertical earthquake should be considered because of seismic behaviour characteristics of spatial structures. This experimental study is conducted about seismic response characteristics of roof structure according to the effect of columns or walls, through scale model of arch structure that has the basic dynamic characteristics of spatial structure. Though remarkable response is not occurred for horizontal direction in the region of higher frequency than the region of frequency that seismic energy is concentrated, relatively large response is occurred in vertical direction. It is proved that seismic response of arch structure with column is varied according to property of column.

Keywords: arch structure, seismic response, shaking table, spatial structure

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Authors: Serges Mendomo Meye, Li Guowei, Shen Zhenzhong

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Earthquake is one of the main loads threatening dam safety. Once the dam is damaged, it will bring huge losses of life and property to the country and people. Therefore, it is very important to research the seismic safety of the dam. Due to the complex foundation conditions, high fortification intensity, and high scientific and technological content, it is necessary to adopt reasonable methods to evaluate the seismic safety performance of concrete arch dams built and under construction in strong earthquake areas. Structural seismic vulnerability analysis can predict the probability of structural failure at all levels under different intensity earthquakes, which can provide a scientific basis for reasonable seismic safety evaluation and decision-making. In this paper, the response surface method (RSM) is applied to the seismic vulnerability analysis of arch dams, which improves the efficiency of vulnerability analysis. Based on the central composite test design method, the material-seismic intensity samples are established. The response surface model (RSM) with arch crown displacement as performance index is obtained by finite element (FE) calculation of the samples, and then the accuracy of the response surface model (RSM) is verified. To obtain the seismic vulnerability curves, the seismic intensity measure ??(?1) is chosen to be 0.1~1.2g, with an interval of 0.1g and a total of 12 intensity levels. For each seismic intensity level, the arch crown displacement corresponding to 100 sets of different material samples can be calculated by algebraic operation of the response surface model (RSM), which avoids 1200 times of nonlinear dynamic calculation of arch dam; thus, the efficiency of vulnerability analysis is improved greatly.

Keywords: high concrete arch dam, performance index, response surface method, seismic vulnerability analysis, vector-valued intensity measure

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Authors: Algia Hammami, Abdelfatteh Bouri

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In this work, our objective is to study the transmission of volatility between oil and stock markets in developed (USA, Germany, Italy, France and Japan) and emerging countries (Tunisia, Thailand, Brazil, Argentina, and Jordan) for the period 1998-2015. Our methodology consists of analyzing the monthly data by the GARCH-BEKK model to capture the effect in terms of volatility in the variation of the oil price on the different stock market. The empirical results in the emerging countries indicate that the relationships are unidirectional from the stock market to the oil market. For the developed countries, we find that the transmission of volatility is unidirectional from the oil market to stock market. For the USA and Italy, we find no transmission between the two markets. The transmission is bi-directional only in Thailand. Following our estimates, we also noticed that the emerging countries influence almost the same extent as the developed countries, while at the transmission of volatility there a bid difference. The GARCH-BEKK model is more effective than the others versions to minimize the risk of an oil-stock portfolio.

Keywords: GARCH, oil prices, stock market, volatility transmission

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Authors: Timothy Kayode Samson, Adedoyin Isola Lawal

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The past five years have shown a sharp increase in public interest in the crypto market, with its market capitalization growing from $100 billion in June 2017 to $2158.42 billion on April 5, 2022. Despite the outrageous nature of the volatility of cryptocurrencies, the use of skewed error innovation distributions in modelling the volatility behaviour of these digital currencies has not been given much research attention. Hence, this study models the volatility of 5 largest cryptocurrencies by market capitalization (Bitcoin, Ethereum, Tether, Binance coin, and USD Coin) using four variants of GARCH models (GJR-GARCH, sGARCH, EGARCH, and APARCH) estimated using three skewed error innovation distributions (skewed normal, skewed student- t and skewed generalized error innovation distributions). Daily closing prices of these currencies were obtained from Yahoo Finance website. Finding reveals that the Binance coin reported higher mean returns compared to other digital currencies, while the skewness indicates that the Binance coin, Tether, and USD coin increased more than they decreased in values within the period of study. For both Bitcoin and Ethereum, negative skewness was obtained, meaning that within the period of study, the returns of these currencies decreased more than they increased in value. Returns from these cryptocurrencies were found to be stationary but not normality distributed with evidence of the ARCH effect. The skewness parameters in all best forecasting models were all significant (p<.05), justifying of use of skewed error innovation distributions with a fatter tail than normal, Student-t, and generalized error innovation distributions. For Binance coin, EGARCH-sstd outperformed other volatility models, while for Bitcoin, Ethereum, Tether, and USD coin, the best forecasting models were EGARCH-sstd, APARCH-sstd, EGARCH-sged, and GJR-GARCH-sstd, respectively. This suggests the superiority of skewed Student t- distribution and skewed generalized error distribution over the skewed normal distribution.

Keywords: skewed generalized error distribution, skewed normal distribution, skewed student t- distribution, APARCH, EGARCH, sGARCH, GJR-GARCH

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Authors: Gulam Anwer Khan, A. Gautam

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Background: The arch of aorta is a large artery that arches over the root of the left lung and connects the ascending aorta and descending aorta. It is situated in the superior mediastinum behind the manubrium sterni. It gives off three major branches i.e. brachiocephalic trunk, left common carotid artery and left subclavian artery arising from the superior surface of arch of aorta from right to left. Material and Methods: This was a descriptive study. It was carried out in 44 cadavers, obtained during dissections for undergraduates of Department of Anatomy, Chitwan Medical College, Bharatpur, Chitwan, between March 2015 to October 2016. Cadavers of both sexes were included in the present study. The arch of aorta was dissected and exposed according to the methods described by Romanes in Cunningham’s manual of practical anatomy. Results: Out of 44 dissected cadavers, 35 (79.54%) were male and 9 (20.46%) were female cadavers. The normal branching pattern of the arch of aorta was encountered in 28 (63.64%) cadavers and the remaining 16 (36.36%) cadavers showed variations in the branching pattern of arch of aorta. Two different types of variations on the branching pattern of arch of aorta were noted in the present study, in which 12 (27.27%) cadavers had common trunk of the Arch of Aorta. In 3 (5.00%) male cadavers, we found the origin of the Thyroid ima artery. This variation was noted in 1(1.66%) female cadaver. Conclusion: The present study carried out on adult human cadavers’ revealed wide variations in the branching pattern of the arch of ao rta. These variations are of clinical significance and also very useful for the anatomists, radiologists, anesthesiologists, surgeons for practice during angiography, instrumentation, supra-aortic thoracic, head and neck surgery.

Keywords: arch of aorta, brachiocephalic trunk, left common carotid artery, left subclavian artery, Thyroidea ima artery

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Authors: Amel Oueslati, Olfa Benouda

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New Value at Risk (VaR) estimation is proposed and investigated. The well-known two stages Garch-EVT approach uses conditional volatility to generate one step ahead forecasts of VaR. With daily data for twelve stocks that decompose the Dow Jones Industrial Average (DJIA) index, this paper incorporates the volume in the first stage volatility estimation. Afterwards, the forecasting ability of this conditional volatility concerning the VaR estimation is compared to that of a basic volatility model without considering any trading component. The results are significant and bring out the importance of the trading volume in the VaR measure.

Keywords: Garch-EVT, value at risk, volume, volatility

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Authors: Abderrazek Ben Maatoug, Ibrahim Fatnassi, Wassim Ben Ayed

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In this paper we investigate the issue of market risk quantification for Middle East and North Africa (MENA) Islamic market equity. We use Value-at-Risk (VaR) as a measure of potential risk in Islamic stock market, for long and short position, based on Riskmetrics model and the conditional parametric ARCH class model volatility with normal, student and skewed student distribution. The sample consist of daily data for the 2006-2014 of 11 Islamic stock markets indices. We conduct Kupiec and Engle and Manganelli tests to evaluate the performance for each model. The main finding of our empirical results show that (i) the superior performance of VaR models based on the Student and skewed Student distribution, for the significance level of α=1% , for all Islamic stock market indices, and for both long and short trading positions (ii) Risk Metrics model, and VaR model based on conditional volatility with normal distribution provides the best accurate VaR estimations for both long and short trading positions for a significance level of α=5%.

Keywords: value-at-risk, risk management, islamic finance, GARCH models

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Authors: R. Periyasamy, Deepak Joshi, Sneh Anand

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Foot posture assessment is important to evaluate foot type, causing gait and postural defects in all age groups. Although different methods are used for classification of foot arch type in clinical/research examination, there is no clear approach for selecting the most appropriate measurement system. Therefore, the aim of this study was to develop a system for evaluation of foot type as clinical decision-making aids for diagnosis of flat and normal arch based on the Arch Index (AI) and foot pressure distribution parameter - Power Ratio (PR) data. The accuracy of the system was evaluated for 27 subjects with age ranging from 24 to 65 years. Foot area measurements (hind foot, mid foot, and forefoot) were acquired simultaneously from foot pressure intensity image using portable PedoPowerGraph system and analysis of the image in frequency domain to obtain foot pressure distribution parameter - PR data. From our results, we obtain 100% classification accuracy of normal and flat foot by using the linear discriminant analysis method. We observe there is no misclassification of foot types because of incorporating foot pressure distribution data instead of only arch index (AI). We found that the mid-foot pressure distribution ratio data and arch index (AI) value are well correlated to foot arch type based on visual analysis. Therefore, this paper suggests that the proposed system is accurate and easy to determine foot arch type from arch index (AI), as well as incorporating mid-foot pressure distribution ratio data instead of physical area of contact. Hence, such computational tool based system can help the clinicians for assessment of foot structure and cross-check their diagnosis of flat foot from mid-foot pressure distribution.

Keywords: arch index, computational tool, static foot pressure intensity image, foot pressure distribution, linear discriminant analysis

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Authors: Rancy Chepchirchir Kosgey, John Olukuru

Abstract:

This study examines the impact of introduction of futures trading on the spot price volatility in the commodity market. The paper considers the United States of America, South Africa and Ethiopian economies. Three commodities i.e. coffee, maize and wheat from New York Merchantile Exchange, South African Futures Exchange and Ethiopian Commodity Exchange are analyzed. ARCH LM test is used to check for heteroskedasticity and GARCH and EGARCH are used to check for the behavior of volatility between the pre- and post-futures periods. For all the three economies, the results indicate presence of the ARCH effect in the log returns. For conditional and unconditional variances; spot price volatility for coffee has decreased after futures trading in all the economies and the EGARCH has also shown reduction in persistence of volatility in the post-futures period in the three economies; while that of maize has reduced for the Ethiopian economy while there has been an increase in both the US and South African economies. For wheat, the conditional variance has been found to rise in the post-futures period in all the three economies.

Keywords: derivatives, futures exchange, agricultural commodities, spot price volatility

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Authors: Goodness C. Aye

Abstract:

This paper examines the effect of the volatility of oil prices on food price in South Africa using monthly data covering the period 2002:01 to 2014:09. Food price is measured by the South African consumer price index for food while oil price is proxied by the Brent crude oil. The study employs the GARCH-in-mean VAR model, which allows the investigation of the effect of a negative and positive shock in oil price volatility on food price. The model also allows the oil price uncertainty to be measured as the conditional standard deviation of a one-step-ahead forecast error of the change in oil price. The results show that oil price uncertainty has a positive and significant effect on food price in South Africa. The responses of food price to a positive and negative oil price shocks is asymmetric.

Keywords: oil price volatility, food price, bivariate, GARCH-in-mean VAR, asymmetric

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Authors: Erkan Polat, Barlas Ozden Caglayan

Abstract:

By day-to-day developed techniques, it is possible to pass through larger openings by using smaller beam-column sections. Parallel to this trend, it is aimed to produce not only smaller but also economical and architecturally more attractive beams. This study aims to explain the structural behavior of arch steel beam reinforced by using post-tension cable. Due to the effect of post-stressed cable, the arch beam load carrying capacity increases and an optimized section in a smaller size can be obtained with a better architectural view. It also allows better mechanical and applicational solutions for buildings. For better understanding the behavior of the reinforced beam, steel beam and arch steel beam with post-tensioned cable are all modeled and analyzed by using SAP2000 Finite element computer program and compared with each other. Also, full scale test specimens were prepared to test for figuring out the structural behavior and compare the results with the computer model results. Test results are very promising. The similarity of the results between the test and computer analysis shows us that there are no extra knowledge and effort of engineer is needed to calculate such beams. The predicted (and proved by tests) beam carrying capacity is 35% higher than the unreinforced beam carrying capacity. Even just three full scale tests were completed, it is seen that the ratio (%35) may be increased ahead by adjusting the cable post-tension force of beams in much smaller sizes.

Keywords: arch steel beams, pre-stressed cables, finite element, specimen Test

Procedia PDF Downloads 165